Agricultural Futures Price Index And The Volatility Of Macroeconomic Variables

Improve macro-control policy has always been forward-looking macro-control departments to achieve the goal, and forward-looking macro-control policies and accurately grasp the key is to reflect the economic performance of the first signal. The futures market as an important component of financial markets,it has price discovery function that forecasts the future spot price trends. Scientific futures price index can be more accuratly warning of macroeconomic trends,and it has reference value on the macro-control departments to formulate and adjust the macro-control policy. China's futures market is still in the initial stage, China's futures market, whether as a warning of macroeconomic trends, and to forward the formulation of macro-control policies to provide the necessary signal? The paper will explain it that attempts to study on the fluctuations relationship between agricultural futures price index and China's main macroeconomic variables.Firstly, the paper summaried futures market price discovery function theory, on the basis of qualitative study on the agricultural futures price index and macroeconomic fluctuations in the correlation between variables; Secondly, the paper comparative analysis the two of China's agricultural index futures (Nanhua futures index and QMAI); Finally, the paper based in 2005.3—2008.12, Nanhua futures index, QMAI,China's CPI, interest rates,exchange rates and GDP on the statistical data to establish the VAR model and vector error correction model, using ADF test, co-integration test, pulse analysis and response to the variance decomposition, we study agricultural products price futures index and macro-economic variables between the long-run equilibrium relationship, the conclusions are as follows:(1) China's agricultural futures price index and macroeconomic variables influence each other. Based on China's agricultural futures price index and the macroeconomic variables of the stationary time series to establish the VAR model dynamic systems, the results show that they influence each other. Johansen cointegration test to further verify that has long-run equilibrium relationship between the China's agricultural futures price index and macro-economic variables, the VEC model indicates that agricultural futures price index have a significant impact of the macroeconomic variables in short-term.(2)Impulse response and variance decomposition shows that the futures price index of China's agricultural products can reflect the macro-economic trends to some extent. The agricultural futures price index of the impact caused by a unit of CPI, interest rates, exchange rates and GDP in the former three (the first three months) have relatively large fluctuations. Without taking into account their own contribution rate of macro-economic variables, the agricultural futures price index have maximum contribution rate of the macro-economic variables fluctuations. To the CPI, interest rates, exchange rates and GDP, the contribution rate of about 10%, 2%, 16%, 5%. It indicates that the China's agricultural futures price index can affect to the CPI, interest rates, exchange rates and GDP. However, the extent of the impact is not deep, the duration is not long.(3) The cross correlation analysis showed that the Nanhua agricultural futures price index of the degree of price discovery function is superior to the QMAI. Nanhua agricultural futures price index for 6 months in advance to predict the spot price index of agricultural products, and the QMAI can forecast in 4 months of the spot price index of agricultural products. Through empirical research also found that Nanhua futures price index of the response to fluctuation in macroeconomic variables is more severe, Nanhua futures price index to impact of the CPI, interest rates, exchange rates and GDP is much higher than the QMAI of the four variables.